Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1264 |
| Annualized Std Dev | 0.2334 |
| Annualized Sharpe (Rf=0%) | 0.5417 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3553.0000 |
| NAs | 1.0000 |
| Minimum | -0.1262 |
| Quartile 1 | -0.0058 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0077 |
| Maximum | 0.1053 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0002 |
| Stdev | 0.0147 |
| Skewness | -0.3065 |
| Kurtosis | 7.1016 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0100 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0151 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.5897 |
| Historical VaR (95%) | -0.0238 |
| Historical ES (95%) | -0.0356 |
| Modified VaR (95%) | -0.0227 |
| Modified ES (95%) | -0.0419 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-20 | 2008-11-21 | 2011-01-14 | -0.5897 | 856 | 329 | 527 |
| 2020-02-20 | 2020-03-23 | 2020-08-04 | -0.3405 | 116 | 23 | 93 |
| 2011-02-18 | 2011-10-03 | 2013-02-14 | -0.2723 | 500 | 157 | 343 |
| 2018-08-30 | 2018-12-24 | 2019-03-21 | -0.2284 | 139 | 80 | 59 |
| 2015-12-02 | 2016-02-09 | 2016-06-02 | -0.1728 | 126 | 47 | 79 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.3 | 0.8 | -0.5 |
| 2007 | 0.4 | 0.4 | -0.5 | -1.2 | 0.4 | -0.7 | -0.3 | 0.9 | 0.8 | -2.3 | -0.9 | -1.2 | -4.2 |
| 2008 | 3.8 | -2.6 | 3.5 | 2.7 | 0.9 | -0.9 | -0.8 | -2 | -1.1 | 3.3 | 5.2 | 2 | 14.4 |
| 2009 | -3.1 | -2.7 | -0.3 | 0 | 3.8 | 0.9 | -0.1 | -2 | -3 | -2.4 | 1.9 | -0.8 | -7.7 |
| 2010 | 2.3 | 2.2 | -0.1 | -3.3 | -2.6 | 0 | -0.9 | 3.2 | -0.3 | -0.2 | 2.6 | -0.7 | 2.1 |
| 2011 | 2.4 | -1.8 | -0.5 | -0.1 | -2 | 1.5 | -1 | -1.4 | -3.3 | -3.3 | 0.4 | -0.3 | -9.2 |
| 2012 | 1.6 | 0.3 | 0 | 0.5 | -3 | 4.4 | -0.4 | 0.6 | -0.2 | 2.5 | -0.1 | 1.4 | 7.6 |
| 2013 | 1.1 | 0.1 | -1 | -0.8 | -0.9 | 0.4 | 1.6 | -0.7 | 0.8 | 0.4 | 0 | 0.4 | 1.4 |
| 2014 | -0.8 | -0.3 | 1.3 | 0 | -0.1 | 1.1 | -0.3 | 0.5 | -1.9 | 2.2 | -1.1 | -1.1 | -0.6 |
| 2015 | -1.7 | -0.1 | -0.6 | 1.5 | 0.2 | 0.6 | -0.3 | -2.9 | -0.2 | 0.1 | 1 | -1.3 | -3.7 |
| 2016 | 0.5 | 2.4 | 0.6 | -1.7 | 0 | -0.1 | -0.1 | 0.4 | 0.7 | -0.7 | -3 | -0.9 | -1.9 |
| 2017 | 0.1 | 1.4 | -0.2 | 0.5 | 0.5 | -0.3 | 0.5 | 0.1 | 0.6 | -0.3 | -0.6 | -0.7 | 1.5 |
| 2018 | -0.1 | -1.3 | 1.6 | 1.1 | 1.8 | 0.2 | -0.2 | 0.2 | -0.2 | 1.9 | 0.9 | 0.9 | 7 |
| 2019 | 1.3 | 0.8 | 2.1 | -1.1 | -1.6 | 1.9 | -0.9 | 0.3 | -1.3 | 1.4 | -0.3 | 0.3 | 2.8 |
| 2020 | -2.5 | -0.1 | -4.8 | -4 | 0.4 | -0.3 | 0.5 | 0.6 | 1 | -0.9 | 1 | 0.9 | -8.3 |
| 2021 | 2.3 | 2.6 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-11-07 48.9 SPY 139. 0.0038 0.006 0.0261 0.0916 0.134 0.303 0.233 GLD 62.0 0.00240 0.0299
2 2006-11-09 49.0 SPY 138. -0.0053 0.0102 0.0227 0.0879 0.129 0.314 0.227 GLD 63.0 0.0301 0.0166
3 2006-11-10 49.1 SPY 138. 0.0004 0.0125 0.0144 0.0876 0.121 0.315 0.226 GLD 62.5 -0.0073 0.003
4 2006-11-13 49.8 SPY 139. 0.0025 0.0036 0.0143 0.0774 0.120 0.303 0.237 GLD 62.2 -0.00480 0.00480
5 2006-11-14 49.7 SPY 140. 0.0075 0.0073 0.0203 0.0757 0.129 0.313 0.219 GLD 61.6 -0.009 -0.0066
6 2006-11-15 50.6 SPY 140. 0.00290 0.008 0.0265 0.0768 0.136 0.328 0.221 GLD 61.8 0.0034 0.0119
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
